- Email: [email protected]
Contents of volume 1B
CONTENTS OF VOLUME
1B
Introduction to the Series
V
Contents of the Handbook
vii ix
Preface FINANCIAL
MARKETS
AND ASSET PRICING
Chapter 10 Arbitrage, State Prices and Portfolio Theory PHILIP H. DYBVIG and STEPHEN A. ROSS Abstract Keywords 1. Introduction 2. Portfolio problems 3. Absence of arbitrage and preference-free results
7. Arbitrage pricing theory (APT) 8. Conclusion References
605 606 606 607 607 612 614 616 618 619 619 620 621 622 624 629 629 631 633 634 634
Chapter 1 I Intertemporal Asset Pricing Theory DARRELL DUFFIE Abstract
639 641
3.1.
Fundamental
3.2.
Pricing
theorem
of asset pricing
rule representation
theorem
4. Various analyses: Arrow-Debreu 4.1.
Optimal
portfolio
4.2.
Efficient
portfolios
4.3.
Aggregation
4.4.
Asset
4.5,
Payoff
world
choice
pricing distribution
pricing
5. Capital asset pricing model (CAPM) 6. Mutual fund separation theory 6.1.
Preference
6.2.
Beliefs
approach
Contents
xv111
Keywords 1. Introduction 2. Basic theory 2.1. 2.2.
Setup Arbitrage,
state prices,
2.3.
Individual
agent optimality
2.4.
Habit
2.5.
Equilibrium
and Pareto
2.6.
Equilibrium
asset pricing
and recursive
and martingales
utilities optimality
2.7.
Breeden’s
consumption-based
2.8.
Arbitrage
and martingale
2.9.
Valuation
of redundant
2.10.
American
exercise
CAPM measures
securities
policies
and valuation
3. Continuous-time modeling 3.1.
Trading
3.2.
Martingale
gains for Brownian trading
3.3.
The Black-Scholes
3.4.
Ito’s Formula
3.5.
Arbitrage
3.6.
Numeraire
3.7.
State prices
3.8.
Equivalent
3.9.
prices
gains option-pricing
formula
modeling invariance and doubling martingale
Girsanov
and market
3.10.
Black-Scholes
3.11.
Complete
3.12.
Optimal
3.13.
Martingale
strategies
measures prices
of risk
again markets
trading
and consumption
solution
to Merton’s
problem
4. Term-structure models 4.1.
One-factor
4.2.
Term-structure
models
4.3.
Fundamental
4.4.
Multifactor
4.5.
Affine
4.6.
The HJM
derivatives solution term-structure
models
models model
of forward
rates
5. Derivative pricing 5.1.
Forward
and futures
5.2.
Options
and stochastic
5.3.
Option
valuation
prices volatility
by transform
analysis
6. Corporate securities 6.1.
Endogenous
6.2.
Example:
default
6.3.
Taxes,
6.4.
Intensity-based
Brownian bankruptcy
timing dividend costs,
modeling
capital
growth structure
of default
of Volume
1B
641 642 642 643 644 646 647 649 651 653 654 656 657 661 662 663 665 668 670 670 671 672 672 676 677 678 682 686 687 691 693 695 696 699 702 702 705 708 711 712 713 717 719
Contents
of Volume
xix
IB
6.5. Zero-recovery 6.6. Pricing
bond
with
recovery
6.7. Default-adjusted
721 722 724 725
pricing at default
short rate
References Chapter 12 Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance WAYNE E. FERSON Abstract Keywords 1. Introduction 2. Multifactor asset-pricing models: Review and integration
6. Conclusions References
743 745 745 746 748 748 750 751 753 754 760 765 768 768 770 773 774 774 775 781 785 787 788 790 792 793 794 795
Chapter 13 Consumption-Based Asset Pricing JOHN Y. CAMPBELL Abstract Keywords 1. Introduction
803 804 804 805
2.1.
The stochastic
2.2.
Expected
discount
factor
representation
risk premiums
2.3.
Return
2.4.
Consumption-based
predictability
2.5. Multi-beta
asset-pricing
pricing
2.6.
Mean-variance
2.7.
Choosing
models
models
efficiency
with
conditioning
information
the factors
3. Modern variance bounds 3.1.
The Hansen-Jagannathan
3.2.
Variance
3.3.
The Bansen-Jagannathan
bounds
bounds
with
conditioning
information
distance
4. Methodology and tests of multifactor asset-pricing models 4.1.
The Generalized
4.2.
Cross-sectional
4.3.
Multivariate
Method
of Moments
regression
methods
regression
approach
and beta-pricing
models
5. Conditional performance evaluation 5.1.
Stochastic
discount
5.2. Beta-pricing 5.3. Using 5.4.
portfolio
Conditional
5.5. Empirical
factor
formulation
formulation weights market-timing evidence
models
on conditional
performance
Contents of Volume IB
xx
2. international stock market Hdata 3. The equity premium puzzle 3.1. 3.2. 3.3. 3.4. 3.5.
The stochastic discount factor Consumption-based asset pricing with power utility The risk-free rate puzzle Bond returns and the equity-premium and risk-free rate puzzles Separating risk aversion and intertemporal substitution
4. The dynamics of asset returns and consumption 4.1. Time-variation in conditional expectations 4.2. A loglinear asset-pricing framework 4.3. The equity volatiiity puzzle 4.4. Implications for the equity premium puzzle 4.5. What does the stock market forecast? 4.6. Changing volatility in stock returns 4.7. What does the bond market forecast?
5. Cyclical variation in the price of risk 5. I. Habit formation 5.2. Models with heterogeneous agents 5.3. Irrational expectations
6. Some implications for macroeconomics References Chapter 14 The Equity Premium in Retrospect RAJNISH MEHRA and EDWAR.D C. PRESCOTT Abstract Keywords 1. In~oduction 2. The equity premium: history 2.1. 2.2. 2.3. 2.4.
Facts Data sources Estimates of the equity premium Variation in the equity premium over time
3. Is the equity premium due to a premium for bearing non-diversi~able risk? 3 1. 3.2. 3.3. 3.4. 3.5.
Standard preferences Estimating the equity risk premium versus estimating the risk aversion parameter Alternative preference structures Idiosyncratic and uninsurable income risk Models incorporating a disaster state and survivorship bias
4. Is the equity premium due to borrowing constraints, a liquidity premium or taxes? 4.1. Borrowing constraints 4.2. Liquidity premium
810 816 816 819 824 827 828 832 832 836 840 845 849 857 859 866 866 873 876 879 881
889 890 890 891 891 891 892 894 897 899 902 912 913 918 920 921 921 924
Contents 4.3.
IB
xxi
and regulation
924 927 928 930 930 935
cf Volume Taxes
5. An equity premium in the future? Appendix A Appendix B. The original analysis of the equity premium puzzle B. 1. The economy,
asset prices
and returns
References Chapter 15 Anomalies and Market Efficiency G. WILLIAM SCHWERT Abstract Keywords 1. Introduction 2. Selected empirical regularities 2.1.
Predictable
differences
in returns
across
2.2.
Predictable
differences
in returns
through
939 941 941 942 943 943 951 956 956 958 961 961 962 964 966 966 967 967 967 968 968 968 969 970 970
assets time
3. Returns to different types of investors 3.1.
Individual
3.2.
Institutional
investors
3.3.
Limits
investors
to arbitrage
4. Long-run returns 4.1.
Returns
to firms
issuing
4.2.
Returns
to bidder
firms
equity
5. Implications for asset pricing 5.1.
The seuch
5.2.
Conditional
5.3.
Excess
5.4.
The role
for risk
factors
asset pricing
volatility of behavioral
finance
6. Implications for corporate finance 6.1.
Firm
6.2.
Book-to-market
size and liquidity
6.3.
Slow
reaction
effects to corporate
financial
policy
7. Conclusions References Chapter 16 Are Financial Assets Priced Locally or Globally? G. ANDREW KAROLYI and RENE M. STULZ Abstract Keywords 1. Introduction 2. The perfect financial markets model 2.1.
identical
consumption-opportunity
sets across
countries
975 976 976 977 978 979
Contents
xxii 2.2.
Different
2.3.
A general
consumption-opportunity approach
2.4.
Empirical
evidence
sets across
on asset pricing
using
countries
perfect
market
models
3. Home bias 4. Flows, spillovers, and contagion 4.1.
Flows
4.2.
Correlations,
and returns spillovers,
and contagion
5. Conclusion References Chapter I7 Microstructure and Asset Pricing DAVID EASLEY and MAUREEN O’HARA Abstract Keywords 1. Introduction 2. Equilibrium asset pricing 3. Asset pricing in the short-run 3.1.
The mechanics
3.2. 3.3.
The adjustment of prices to information Statistical and structural models of microstructure
of pricing
3.4.
Volume
and price
behavior data
movements
4. Asset pricing in the long-run 4.1. Liquidity 4.2. Information
5. Linking microstructure and asset pricing: puzzles for researchers References Chapter 18 A Survey of Behavioral Finance NICHOLAS BARBERIS and RICHARD Abstract Keywords 1. Introduction 2. Limits to arbitrage 2.1.
Market
2.2.
Theory
2.3.
Evidence
THALER
efficiency
3. Psychology 3.1.
Beliefs
3.2.
Preferences
4. Application: The aggregate stock market 4.1.
The equity
premium
puzzle
of Volume
IB
982 988 992 997 1004 1007 1010 1014 1014
1021 1022 1022 1023 1024 1025 1026 1029 1031 1033 1035 1036 1041 1044 1047
1053 1054 1054 1055 1056 1056 1058 1061 1065 1065 1069 1075 1078
Contents
of Volume
xx111
IB
9. Conclusion Appendix A References
1083 1087 1092 1095 1097 1098 1098 1099 1101 1101 1103 1103 1104 1105 1106 1106 1109 1111 1113 1115 1116
Finance, Optimization, and the Irreducibly irrational Component of Human Behavior ROBERT J. SHILLER
1125
4.2.
The volatility
puzzle
5. Application:
The cross-section of average returns
5.1. Belief-based
models
5.2.
models
Belief-based
with
institutional
frictions
5.3. Preferences
6. Application:
Closed-end funds and comovement
6.1. Closed-end
funds
6.2. Comovement
7. Application:
Investor behavior
7.1. Insufficient 7.2. Naive
diversification
diversification
7.3. Excessive 7.4. 7.5.
trading
The selling The buying
decision decision
8. Application: 8.1,
Security
8.2.
Dividends
8.3.
Models
Corporate finance issuance,
capital
of managerial
structure
and investment
irrationality
Chupter 19 Derivatives ROBERT E. WHALEY Abstract Keywords 1. Introduction 2. Background 3. No-arbitrage pricing relations 3.1.
Carrying
3.2.
Valuing
forward/futures
costs
3.3.
Valuing
options
using
using
the no-arbitrage
the no-arbitrage
principle
principle
4. Option valuation 4.1.
The Black-Scholes/Merton
4.2.
Analytical
4.3.
Approximation
4.4.
Generalizations
formulas methods
option
valuation
theory
1129 1131 1131 1132 1133 1139 1140 1141 1143 1148 1149 1151 1157 1164
Contents
1166 1167 1169 1173 1173 1174 1176 1179 1181 1189 1189 1193 1194 1197 1198 1199
5. Studies of no-arbitrage price relations 5.1.
Forward/futures
5.2.
Option
5.3.
Summary
prices
prices and analysis
6. Studies of option valuation models 6.1.
Pricing
errors/implied
6.2.
Trading
simulations
6.3.
Informational
6.4.
Summary
volatility
content
anomalies
of implied
volatility
and analysis
7. Social costs/benefits of derivatives trading 7.1.
Contract
introductions
7.2.
Contract
expirations
7.3. 7.4.
Market synchronization Summary and analysis
8. Summary References Chapter
of Volume 1B
20
Fixed-Income Pricing QIANG DA1 and KENNETH J. SINGLETON Abstract Keywords 1. Introduction 2. Fixed-income pricing in a diffkion setting 2.1.
The term
2.2.
Fixed-income
structure securities
with
deterministic
2.3.
Fixed-income
securities
with
state-dependent
2.4.
Fixed-income
securities
with
stopping
payoffs payoffs
times
3. Dynamic term-structure models for default-free bonds 3.1,
One-factor
3.2.
Multi-factor
dynamic
term-structure
dynamic
models
term-structure
models
4. Dynamic term-structure models with jump diffusions 5. Dynamic term-structure models with regime shifts 6. Dynamic term-structure models with rating migrations 6.1,
Fractional
recovery
of market
6.2.
Fractional
recovery
of par, payable
at maturity
6.3. 6.4.
Fractional recovery Pricing defaultable
of par, payable coupon bonds
at default
6.5.
Pricing
swaps
Eurodollar
value
7. Pricing of fixed-income derivatives 7.1.
Derivatives
pricing
using
dynamic
7.2.
Derivatives
pricing
using
forward-rate
term-structure models
7.3.
Defaultable
forward-rate
models
rating
with
models migrations
1207 1208 1208 1209 1210 1210 1211 1212 1213 1215 1215 1218 1222 1223 1225 1225 1228 1229 1229 1230 1231 1231 1232 1234
Contents 7.4.
of’ Volume IB The LIBOR
7.5. The swaption
References Subject Index
XX”
market market
model model
1237 1241 1242 I-1
1B
Introduction to the Series
V
Contents of the Handbook
vii ix
Preface FINANCIAL
MARKETS
AND ASSET PRICING
Chapter 10 Arbitrage, State Prices and Portfolio Theory PHILIP H. DYBVIG and STEPHEN A. ROSS Abstract Keywords 1. Introduction 2. Portfolio problems 3. Absence of arbitrage and preference-free results
7. Arbitrage pricing theory (APT) 8. Conclusion References
605 606 606 607 607 612 614 616 618 619 619 620 621 622 624 629 629 631 633 634 634
Chapter 1 I Intertemporal Asset Pricing Theory DARRELL DUFFIE Abstract
639 641
3.1.
Fundamental
3.2.
Pricing
theorem
of asset pricing
rule representation
theorem
4. Various analyses: Arrow-Debreu 4.1.
Optimal
portfolio
4.2.
Efficient
portfolios
4.3.
Aggregation
4.4.
Asset
4.5,
Payoff
world
choice
pricing distribution
pricing
5. Capital asset pricing model (CAPM) 6. Mutual fund separation theory 6.1.
Preference
6.2.
Beliefs
approach
Contents
xv111
Keywords 1. Introduction 2. Basic theory 2.1. 2.2.
Setup Arbitrage,
state prices,
2.3.
Individual
agent optimality
2.4.
Habit
2.5.
Equilibrium
and Pareto
2.6.
Equilibrium
asset pricing
and recursive
and martingales
utilities optimality
2.7.
Breeden’s
consumption-based
2.8.
Arbitrage
and martingale
2.9.
Valuation
of redundant
2.10.
American
exercise
CAPM measures
securities
policies
and valuation
3. Continuous-time modeling 3.1.
Trading
3.2.
Martingale
gains for Brownian trading
3.3.
The Black-Scholes
3.4.
Ito’s Formula
3.5.
Arbitrage
3.6.
Numeraire
3.7.
State prices
3.8.
Equivalent
3.9.
prices
gains option-pricing
formula
modeling invariance and doubling martingale
Girsanov
and market
3.10.
Black-Scholes
3.11.
Complete
3.12.
Optimal
3.13.
Martingale
strategies
measures prices
of risk
again markets
trading
and consumption
solution
to Merton’s
problem
4. Term-structure models 4.1.
One-factor
4.2.
Term-structure
models
4.3.
Fundamental
4.4.
Multifactor
4.5.
Affine
4.6.
The HJM
derivatives solution term-structure
models
models model
of forward
rates
5. Derivative pricing 5.1.
Forward
and futures
5.2.
Options
and stochastic
5.3.
Option
valuation
prices volatility
by transform
analysis
6. Corporate securities 6.1.
Endogenous
6.2.
Example:
default
6.3.
Taxes,
6.4.
Intensity-based
Brownian bankruptcy
timing dividend costs,
modeling
capital
growth structure
of default
of Volume
1B
641 642 642 643 644 646 647 649 651 653 654 656 657 661 662 663 665 668 670 670 671 672 672 676 677 678 682 686 687 691 693 695 696 699 702 702 705 708 711 712 713 717 719
Contents
of Volume
xix
IB
6.5. Zero-recovery 6.6. Pricing
bond
with
recovery
6.7. Default-adjusted
721 722 724 725
pricing at default
short rate
References Chapter 12 Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance WAYNE E. FERSON Abstract Keywords 1. Introduction 2. Multifactor asset-pricing models: Review and integration
6. Conclusions References
743 745 745 746 748 748 750 751 753 754 760 765 768 768 770 773 774 774 775 781 785 787 788 790 792 793 794 795
Chapter 13 Consumption-Based Asset Pricing JOHN Y. CAMPBELL Abstract Keywords 1. Introduction
803 804 804 805
2.1.
The stochastic
2.2.
Expected
discount
factor
representation
risk premiums
2.3.
Return
2.4.
Consumption-based
predictability
2.5. Multi-beta
asset-pricing
pricing
2.6.
Mean-variance
2.7.
Choosing
models
models
efficiency
with
conditioning
information
the factors
3. Modern variance bounds 3.1.
The Hansen-Jagannathan
3.2.
Variance
3.3.
The Bansen-Jagannathan
bounds
bounds
with
conditioning
information
distance
4. Methodology and tests of multifactor asset-pricing models 4.1.
The Generalized
4.2.
Cross-sectional
4.3.
Multivariate
Method
of Moments
regression
methods
regression
approach
and beta-pricing
models
5. Conditional performance evaluation 5.1.
Stochastic
discount
5.2. Beta-pricing 5.3. Using 5.4.
portfolio
Conditional
5.5. Empirical
factor
formulation
formulation weights market-timing evidence
models
on conditional
performance
Contents of Volume IB
xx
2. international stock market Hdata 3. The equity premium puzzle 3.1. 3.2. 3.3. 3.4. 3.5.
The stochastic discount factor Consumption-based asset pricing with power utility The risk-free rate puzzle Bond returns and the equity-premium and risk-free rate puzzles Separating risk aversion and intertemporal substitution
4. The dynamics of asset returns and consumption 4.1. Time-variation in conditional expectations 4.2. A loglinear asset-pricing framework 4.3. The equity volatiiity puzzle 4.4. Implications for the equity premium puzzle 4.5. What does the stock market forecast? 4.6. Changing volatility in stock returns 4.7. What does the bond market forecast?
5. Cyclical variation in the price of risk 5. I. Habit formation 5.2. Models with heterogeneous agents 5.3. Irrational expectations
6. Some implications for macroeconomics References Chapter 14 The Equity Premium in Retrospect RAJNISH MEHRA and EDWAR.D C. PRESCOTT Abstract Keywords 1. In~oduction 2. The equity premium: history 2.1. 2.2. 2.3. 2.4.
Facts Data sources Estimates of the equity premium Variation in the equity premium over time
3. Is the equity premium due to a premium for bearing non-diversi~able risk? 3 1. 3.2. 3.3. 3.4. 3.5.
Standard preferences Estimating the equity risk premium versus estimating the risk aversion parameter Alternative preference structures Idiosyncratic and uninsurable income risk Models incorporating a disaster state and survivorship bias
4. Is the equity premium due to borrowing constraints, a liquidity premium or taxes? 4.1. Borrowing constraints 4.2. Liquidity premium
810 816 816 819 824 827 828 832 832 836 840 845 849 857 859 866 866 873 876 879 881
889 890 890 891 891 891 892 894 897 899 902 912 913 918 920 921 921 924
Contents 4.3.
IB
xxi
and regulation
924 927 928 930 930 935
cf Volume Taxes
5. An equity premium in the future? Appendix A Appendix B. The original analysis of the equity premium puzzle B. 1. The economy,
asset prices
and returns
References Chapter 15 Anomalies and Market Efficiency G. WILLIAM SCHWERT Abstract Keywords 1. Introduction 2. Selected empirical regularities 2.1.
Predictable
differences
in returns
across
2.2.
Predictable
differences
in returns
through
939 941 941 942 943 943 951 956 956 958 961 961 962 964 966 966 967 967 967 968 968 968 969 970 970
assets time
3. Returns to different types of investors 3.1.
Individual
3.2.
Institutional
investors
3.3.
Limits
investors
to arbitrage
4. Long-run returns 4.1.
Returns
to firms
issuing
4.2.
Returns
to bidder
firms
equity
5. Implications for asset pricing 5.1.
The seuch
5.2.
Conditional
5.3.
Excess
5.4.
The role
for risk
factors
asset pricing
volatility of behavioral
finance
6. Implications for corporate finance 6.1.
Firm
6.2.
Book-to-market
size and liquidity
6.3.
Slow
reaction
effects to corporate
financial
policy
7. Conclusions References Chapter 16 Are Financial Assets Priced Locally or Globally? G. ANDREW KAROLYI and RENE M. STULZ Abstract Keywords 1. Introduction 2. The perfect financial markets model 2.1.
identical
consumption-opportunity
sets across
countries
975 976 976 977 978 979
Contents
xxii 2.2.
Different
2.3.
A general
consumption-opportunity approach
2.4.
Empirical
evidence
sets across
on asset pricing
using
countries
perfect
market
models
3. Home bias 4. Flows, spillovers, and contagion 4.1.
Flows
4.2.
Correlations,
and returns spillovers,
and contagion
5. Conclusion References Chapter I7 Microstructure and Asset Pricing DAVID EASLEY and MAUREEN O’HARA Abstract Keywords 1. Introduction 2. Equilibrium asset pricing 3. Asset pricing in the short-run 3.1.
The mechanics
3.2. 3.3.
The adjustment of prices to information Statistical and structural models of microstructure
of pricing
3.4.
Volume
and price
behavior data
movements
4. Asset pricing in the long-run 4.1. Liquidity 4.2. Information
5. Linking microstructure and asset pricing: puzzles for researchers References Chapter 18 A Survey of Behavioral Finance NICHOLAS BARBERIS and RICHARD Abstract Keywords 1. Introduction 2. Limits to arbitrage 2.1.
Market
2.2.
Theory
2.3.
Evidence
THALER
efficiency
3. Psychology 3.1.
Beliefs
3.2.
Preferences
4. Application: The aggregate stock market 4.1.
The equity
premium
puzzle
of Volume
IB
982 988 992 997 1004 1007 1010 1014 1014
1021 1022 1022 1023 1024 1025 1026 1029 1031 1033 1035 1036 1041 1044 1047
1053 1054 1054 1055 1056 1056 1058 1061 1065 1065 1069 1075 1078
Contents
of Volume
xx111
IB
9. Conclusion Appendix A References
1083 1087 1092 1095 1097 1098 1098 1099 1101 1101 1103 1103 1104 1105 1106 1106 1109 1111 1113 1115 1116
Finance, Optimization, and the Irreducibly irrational Component of Human Behavior ROBERT J. SHILLER
1125
4.2.
The volatility
puzzle
5. Application:
The cross-section of average returns
5.1. Belief-based
models
5.2.
models
Belief-based
with
institutional
frictions
5.3. Preferences
6. Application:
Closed-end funds and comovement
6.1. Closed-end
funds
6.2. Comovement
7. Application:
Investor behavior
7.1. Insufficient 7.2. Naive
diversification
diversification
7.3. Excessive 7.4. 7.5.
trading
The selling The buying
decision decision
8. Application: 8.1,
Security
8.2.
Dividends
8.3.
Models
Corporate finance issuance,
capital
of managerial
structure
and investment
irrationality
Chupter 19 Derivatives ROBERT E. WHALEY Abstract Keywords 1. Introduction 2. Background 3. No-arbitrage pricing relations 3.1.
Carrying
3.2.
Valuing
forward/futures
costs
3.3.
Valuing
options
using
using
the no-arbitrage
the no-arbitrage
principle
principle
4. Option valuation 4.1.
The Black-Scholes/Merton
4.2.
Analytical
4.3.
Approximation
4.4.
Generalizations
formulas methods
option
valuation
theory
1129 1131 1131 1132 1133 1139 1140 1141 1143 1148 1149 1151 1157 1164
Contents
1166 1167 1169 1173 1173 1174 1176 1179 1181 1189 1189 1193 1194 1197 1198 1199
5. Studies of no-arbitrage price relations 5.1.
Forward/futures
5.2.
Option
5.3.
Summary
prices
prices and analysis
6. Studies of option valuation models 6.1.
Pricing
errors/implied
6.2.
Trading
simulations
6.3.
Informational
6.4.
Summary
volatility
content
anomalies
of implied
volatility
and analysis
7. Social costs/benefits of derivatives trading 7.1.
Contract
introductions
7.2.
Contract
expirations
7.3. 7.4.
Market synchronization Summary and analysis
8. Summary References Chapter
of Volume 1B
20
Fixed-Income Pricing QIANG DA1 and KENNETH J. SINGLETON Abstract Keywords 1. Introduction 2. Fixed-income pricing in a diffkion setting 2.1.
The term
2.2.
Fixed-income
structure securities
with
deterministic
2.3.
Fixed-income
securities
with
state-dependent
2.4.
Fixed-income
securities
with
stopping
payoffs payoffs
times
3. Dynamic term-structure models for default-free bonds 3.1,
One-factor
3.2.
Multi-factor
dynamic
term-structure
dynamic
models
term-structure
models
4. Dynamic term-structure models with jump diffusions 5. Dynamic term-structure models with regime shifts 6. Dynamic term-structure models with rating migrations 6.1,
Fractional
recovery
of market
6.2.
Fractional
recovery
of par, payable
at maturity
6.3. 6.4.
Fractional recovery Pricing defaultable
of par, payable coupon bonds
at default
6.5.
Pricing
swaps
Eurodollar
value
7. Pricing of fixed-income derivatives 7.1.
Derivatives
pricing
using
dynamic
7.2.
Derivatives
pricing
using
forward-rate
term-structure models
7.3.
Defaultable
forward-rate
models
rating
with
models migrations
1207 1208 1208 1209 1210 1210 1211 1212 1213 1215 1215 1218 1222 1223 1225 1225 1228 1229 1229 1230 1231 1231 1232 1234
Contents 7.4.
of’ Volume IB The LIBOR
7.5. The swaption
References Subject Index
XX”
market market
model model
1237 1241 1242 I-1